Real time black scholes models

[hardtofin]

Hi guys,

I am new to these forums but am a long time option trader (10 years+). I'm after a downloadable black scholes model that updates in realtime i.e I can set it to a feed, say FTSE 100 index and it will model ESX options there for me.

As part of that, I want to be able to then key in my own positions as a portfolio, and have it give me NET delta,gamma,theta,vega etc across the full portfolio of options.

Does anyone know of ANY software that could help me with this?

Many thanks for your help,

hardtofin

 

[Martinghoul]

The software's called Excel . It's trivial to write a B-S pricer in Excel and get whatever your heart desires out of it.

 

[hardtofin]

The software's called Excel . It's trivial to write a B-S pricer in Excel and get whatever your heart desires out of it.

First of all I have no idea how to do something like that in excel. Besides that, how do I get a live feed into excel?

Many thanks.

 

[Martinghoul]

First of all I have no idea how to do something like that in excel. Besides that, how do I get a live feed into excel?

Many thanks.

It's simple to do in Excel... Any experienced options trader worth their salt should be able to do it and there's even formulae that you can copy from online locations. As to live feed into Excel, there are ways to do that as well (DDE). Depends on what your data source is.

If you're looking for pre-packaged software, I don't know of any specifically, but I am sure the main brokers have stuff. There's also services like Livevol Pro.

Hope it helps.

 

[hardtofin]

It's simple to do in Excel... Any experienced options trader worth their salt should be able to do it and there's even formulae that you can copy from online locations. As to live feed into Excel, there are ways to do that as well (DDE). Depends on what your data source is.

If you're looking for pre-packaged software, I don't know of any specifically, but I am sure the main brokers have stuff. There's also services like Livevol Pro.

Hope it helps.

Thanks for your help. I am obviously not worth my salt as an options trader because I don't know how to set up black-scholes in excel.

To be honest, this is not exactly the warm welcome to these forums I was hoping for and I am unsure if I will be using them in future as your snidey comments aren't at all appreciated. This includes the one line answer to my initial post.


hardtofin

 

[scose-no-doubt]

Hahahaha
Get a bit of skin on ya! And besides I think he meant once you get to know excel it should be easy.

 

[Brock Landers]

if you've been rading options for 10+ years but haven't figured excel out then snidey comments are what you deserve.

google "hoadley" or smthin like that

 

[hardtofin]

Well I must be some sort of genius to make money without excel then.

 

[Martinghoul]

Well I must be some sort of genius to make money without excel then.

Come on, mate, don't be so sensitive... It wasn't meant as a go at you. I just think it's an extremely useful exercise that's very much worth going through. Also, it's the only way by which you can have full control and make sure you see everything you want to see. Finally, it's extremely useful to have if you want to do scenario analysis, which is quite handy.

If you want help, I can give you specifics, since I have done it many times in the past.

 

[scose-no-doubt]

Finally, it's extremely useful to have if you want to do scenario analysis, which is quite handy.

How to you pick your risk tolerance levels and that? I was thinking about using spreads but unsure.

And when your thread coming? You waiting for money or something

 

[Martinghoul]

How to you pick your risk tolerance levels and that? I was thinking about using spreads but unsure.

Well, ultimately it all comes down to looking at a variety of scenarios and trying to get a handle on the worst drawdown you can handle. There's ways to do it more scientifically, of course, but this is the gist of it at any rate.

Nah, I am not waiting for money, you smartass, 'cause I know you don't got any . Just been a crazy time here.

 

[scose-no-doubt]

Well, ultimately it all comes down to looking at a variety of scenarios and trying to get a handle on the worst drawdown you can handle. There's ways to do it more scientifically, of course, but this is the gist of it at any rate.

Nah, I am not waiting for money, you smartass, 'cause I know you don't got any . Just been a crazy time here.

There're

Well, ultimately it all comes down to looking at a variety of scenarios and trying to get a handle on the worst drawdown you can handle

How the hell do you justify that to the big wigs?

 

[hardtofin]

Ok, let's start again .

It seems the platform I use (Interactive brokers) have some kind of API that I can plug in to. This will then connect into excel and allow me to extrapolate data.

Does anyone have any experience with IB's API?

Many thanks,

hardtofin

 

[megamuel]

Hi, I found this:

http://www.interactivebrokers.com/download/ExcelApiBeginners.pdf

I think page 20 onwards will help you set up the live feed into Excel.

I don't know anything about options or Black Scholes models but I'd suggest if you can't figure out how to do what you want, cheat and pay someone else to do it. You can go on a website like Freelancer or elance and there you will find people you can pay to do things like that. Most Indonesian's will do anything for $30 ;-)

Good luck anyway,

Sam.

 

[hardtofin]

I have that PDF guide, many thanks. I was just interested in seeing if anyone uses that particular API.

Finally, that Freelance site looks amazing!!

I may well give it a try.

 

[Martinghoul]

How the hell do you justify that to the big wigs?

The bigwigs have tools to do this sorta thing in an automated fashion...

 

[Martinghoul]

I have that PDF guide, many thanks. I was just interested in seeing if anyone uses that particular API.

Finally, that Freelance site looks amazing!!

I may well give it a try.

If you figure out the way to use the live feed API, the Collector has the Excel fomulae (among others) on his site here:
Espen Haug